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We determine an explicit Gr¨obner basis, consisting of linear forms and determi-nantal quadrics, for the prime ideal of Raftery’s mixture transition distribution model for Markov chains. When the stat...
A NEW DEPENDENCE CONDITION FOR TIME SERIES AND THE EXTREMAL INDEX OF HIGHER-ORDER MARKOV CHAINS
extremal coefficient dependence extremes extremal index higher-order stationary Markov sequences
2009/2/25
We present a new dependence condition for time series and extend the extremal types
theorem.The dependence structure of a stationary sequence is described by a sequence of
extremal functions. Under ...